On Markowitz Geometry
Optimization and Control
2018-09-11 v4 Portfolio Management
Abstract
By Markowitz geometry we mean the intersection theory of ellipsoids and affine subspaces in a real finite-dimensional linear space. In the paper we give a meticulous and self-contained treatment of this arch-classical subject, which lays a solid mathematical groundwork of Markowitz mean-variance theory of efficient portfolios in economics.
Cite
@article{arxiv.1707.03588,
title = {On Markowitz Geometry},
author = {Valentin Vankov Iliev},
journal= {arXiv preprint arXiv:1707.03588},
year = {2018}
}
Comments
16 pages